Abstract
This article theoretically and empirically investigates the risk amplification effects of asset securitization among financial institutions in the USA based on a risk model and a single-factor time series model. Results show that systemic risk of financial institutions is enlarged by asset securitization, and the reaction is faster with a larger issuance and holdings of collateralized debt obligation.
Funding
We appreciate the financial support of the Fundamental Research Funds for the Central Universities of China [grant number DUT13RC (3) 42]; Postdoctoral Science Foundation of China [grant number 2013M541215]; Ministry of Education of Humanities and Social Science Fund of China [grant number 10YJA790002].
Notes
1 Date is from Inside Mortgage Finance and Asset Backed Alert GS.